How to get information about linked files?
I found 2 ways to get the information I need.


Using Edit Linked Library plugin (Object : Edit Linked Library) is rather helpful.




It allows me not only to see what file contains the selected linked object but to switch to its editing from the Relations tab of the Tool Shelf.




Other way is to use the Blender File mode of the Outliner. It shows the sources of all connected data (objects, materials, armatures etc...), but does not highlight links of the selected object (at least I did not find the way to do it). 


One can use search by name of the object to find all information needed.